When because of the time differential between the world and Tokyo-Jupiter, it's revealed that Haruka Shitow was Ayato's girlfriend when Tokyo was subsumed into Mu space. She was on vacation outside of Tokyo when it happened. The cool thing about this reveal is, if you go back and watch the series up to that point, you see the multiple clues that are dropped confirming it.

the "fairy" from Ayumu's "hallucinations" turned out to be the strongest masou shojo and figurehead of the Villier revolution, not to mention that very gothic loli being the middle aged homeroom teacher that showed up maybe 3 times.

That shocked me.

Though my favorite plot twist is from Utsuro no Hako to Zero no Maria, which is not an anime, but in the end when the user of the "box" and her intentions were revealed, I felt so stupid for falling for so many red herrings.

When Kabuto revives the coffin and it's madara, though you don't see it till later. Then that made you wonder who the hell is tobi/madara?! Though to find out it was obito was awesome, after the whole mislead when everyone thought it was obito in the beginning.

TTGL

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Kamina's death & the unexpected bittersweet ending. They added a realistic element to the ott that was the anime's charm.

Another

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That the dead person was actually the teacher aid who was also Reiko, Kouichi's aunt! Then all the subtle pieces slotted together, blew my mind!

Haruhi Suzumiya

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The line "i'm going to kill you and see how miss suzumiya will react." That changed me from dropping the show, to being one of my top 10 of all time favourites!!!

Also the movie, where asakura stabs kyon. Had to rewind to make sure what i saw was what i saw.

the shy kid was the leader of Dollars
the big boobed girl had that blood sword thing
the blond kid was the former LEADER of the yellow color gang, i suspected he had been in it, but not the friggin' creator of it

My favorites are in Steins;Gate and Madoka Magica. But while it's far from my favorite, I want to point out a show where there are more plot twists I have ever seen in an anime show. That would be Samurai Flamenco, which has one about every 3-4 episodes.

Naruto. It's been hinted and debated on and I should've seen it coming, but regardless it shocked the hell out of me.

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Tobi's true identity: Kakashi's old and supposedly deceased friend, Obito. They had me going when they made me believe Tobi was actually Madara at first. Shoot, if you repeat Tobi's name fast enough, it should be a spoiler right there, lol.

Attack on Titan

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No, not the part where Eren first transforms into a titan. (had you going, didn't I?) That was actually quite predictable. It was when Eren was convinced to trust in his squad to follow with their plan and avoid transforming. It seemed to be a cliched, resonating theme on trusting your comrades; however, their plan backfired, and everyone under Levi's command dies. This moment cemented what Levi said earlier about how he never knew the answer, and he simply chooses the path he hopes he will regret the least.

Gundam Unicorn: The contents of LaPlace's Box. (MAJOR SPOILER IF YOU HAVEN'T SEEN IT YET!)

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Finding out Laplace's box had the TRUE Universal Century Charter is HUGE! The space colonies had the right to their own sovereignty all this time! This changes EVERYTHING we know about Mobile Suit Gundam!!!

Code Geass. I think you already know.

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Lelouche's death. Damn it damn it damn it. Of all the people to die....